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Re: st: Nonlinear ARMAX model
From
"Sebastian van Baal" <[email protected]>
To
<[email protected]>
Subject
Re: st: Nonlinear ARMAX model
Date
Tue, 9 Mar 2010 17:55:14 +0100
Thank you both for your suggestions! My case appears to be different. I
attempt to estimate a model such as this one:
y[t]=b0+x[t]^b1+u[t]
u[t]=b2*u[t-1]+e[t]
My problem is more complicated and prevents me from linearizing it.
In Eviews, I would enter something like this:
y[t]=b0+x[t]^b1+u[t]+[AR(1)=b2]
Can I enter something like this in Stata?
Best regards
Sebastian
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